IX CCFM – Lecture topics2021-04-15T10:58:08+02:00

Science session

  • Dr Tadeusz Czernik

Title: „Variance reduction methods with the special emphasis on multi- level Monte Carlo technique”

Short abstract: The subject of the lecture that Tadeusz will deliver at the conference is „Variance reduction methods with the special emphasis on multi-level Monte Carlo technique”. During this presentation, we will provide a short introduction to Monte Carlo method and an overview of variance reduction methods. Multi-level MC technique, a relatively “new” algorithm, will be discussed more thoroughly and from derivative pricing perspective.

  • Dr Philippe De Brouwer

Title: „Quantum computers”

Short abstract:

The classical computer has come a long way and is commonplace in everyday life. What few people know is that there is an entirely new computer that is almost ready to change the foundations of electronic computing. What is this quantum computer? How does it work? What does it do? What questions can it answer? What are its limitations?

  • Dr Damian Jelito

Title: Stochastic control with the risk-sensitive criterion

Short abstract:

The stochastic control theory studies optimal control strategies for randomly evolving phenomena. In the financial context, the classical application of this theory is related to a portfolio optimisation problem with the Markovitz optimality criterion. In the talk, we compare this approach with the risk-sensitive criterion, which may be seen as a non-linear extension of a classical linear-quadratic functional. Also, we discuss recent problems and results related to this topic.

  • Dr Loren Shure

Title: “Solving Optimization Problems in MATLAB”

Short abstract:

In this session, you will learn about the different tools available for optimization in MATLAB.
We demonstrate how you can use Optimization Toolbox™ and focus on Global Optimization techniques to solve a wide variety of optimization problems. You will learn best practices for setting up and solving optimization problems, as well as how to speed up optimizations with parallel computing.

Business session

  • Paweł Kolski

Title: Projection models in stress testing

Short abstract:

Banking regulators globally require important financial institutions to demonstrate that they can endure adverse economic environments through a process called “Stress Testing”. In order to meet regulatory requirements, the bank needs to have models in place that project how our business would perform under certain macroeconomic scenarios. During the presentation, we will discuss the whole model lifecycle framework on the example of the Pre-Provision Net Revenue (PPNR) models and show how the models can be tested, back-tested, and used in stress-testing analyses

  • Pierre de-Leusse

Title: Financial engineering practical cases and outlook, a UBS treasury perspective

Short abstract:

During the session we will go through several use cases large banks face today and how they are addressed by multidisciplinary teams of financial and engineering specialists. These use cases will particularly look into what a large financial institution’s Treasury, the bank within the bank, can do to drive optimization of firm liquidity, cash & collateral management and funds transfer pricing.

The session will be conducted in English.

  • Rafał Szepietowski

Title: Modelling Risk in Banking

Short abstract:

In many ways, the business of banking is risk management. But what is risk and how to measure it? There is more than one way and each provides different insights. Would you like to learn more? Rafał Szepietowski, a quantitative risk analyst with wide-ranging experience in financial institutions, will present us the main types of risk quantification and their relation to managing a bank. The session will help us understand how risks originate in the financial world, provide an overview of different risk-modelling activities driven by regulation, and the unique information that we can get from each of these approaches.

The presentation will be conducted in English.


  • prof. Krzysztof Jajuga

Title: New technology in financial markets – challenges and opportunities for financial models

Short abstract:

The paper presents:
–    the evolution of the models applied in financial markets and their classification
–    the main technological developments and emerged problems
–    the problem of model risk